Moving Average Analysis of CAT

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From the Weekend Report 3/19/2010: CAT is now in phase two of the oscillation cycle around the 200 session average. The price is 18.00 % above the line, but some convergence has taken place during the week.

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This page looks at the predictive abilities of different methods of averaging applied to CAT stock prices. Techniques available include moving weighted or exponential averages of various periods and the family of MACD (Moving Average Convergence Divergence) indicators.

Unfortunately, some of the most popular indicators of this type can prove to be the worst forcasting indicators. The next page tests the effectiveness of these methods as predictors of future prices for CAT.

The 200 session average is red, the 20 bar, green. The un-sophisticated moving averages plotted here are un-weighted, but they still may return better results than many of the more popular, highly tuned averages seen in some of the following sections. It is always possible to fine tune an exponential or other weighted average so that it seems to outperform a simple average in a given situation. However, over-tuning can increase false and misleading indicators. Norman G. Fosback has noted that legitimate signals of this sort will normally be evident through a variety of averaging methods.

Moving Average Convergence of Caterpillar

	Companies In the News
	Friday, March 19, 2010: We have news on AT and T, ticker symbol T. A significant moving average event has happened. Also, there are breaking events concerning L-3 Communications Holdings, Inc. and Electronic Data Systems. From the News Archive: (3/18/2010 ) Bad news came from Mylan Inc., TECO Energy, Inc., MicroSoft, and Goldman Sachs Group, Inc..

MACD analysis can use any of an infinite number of averaging methods and coefficients. Also, many analysts add a trigger line which is based on some average of the first two averages. Here we depict the results of 12 and 26 session Exponential Moving Averages. The exponential coefficient used here is .18. There is nothing magic about these parameters, but these are frequently seen.

Float the cursor for a longer term chart.

Moving Average Convergence Divergence, or MACD, produces buy or sell signal that are color tinted here.

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Moving Avg. 20/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 38 instances
Future30SesAvgClose	2.29 % minus 0.89 % = 1.40 %	11.83 %
Future5SesAvgClose	1.03 % minus 0.17 % = 0.86 %	43.50 %
Future2SesAvgClose	0.22 % minus 0.08 % = 0.14 %	17.21 %
Sell Signals - 38 instances
Future30SesAvgClose	1.88 % minus 0.89 % = 0.99 %	8.41 %
Future5SesAvgClose	0.66 % minus 0.17 % = 0.48 %	24.60 %
Future2SesAvgClose	0.40 % minus 0.08 % = 0.32 %	40.36 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 218 instances
Future30SesAvgClose	1.09 % minus 0.89 % = 0.20 %	1.73 %
Future5SesAvgClose	0.32 % minus 0.17 % = 0.15 %	7.40 %
Future2SesAvgClose	0.17 % minus 0.08 % = 0.09 %	10.88 %
Sell Signals - 217 instances
Future30SesAvgClose	1.15 % minus 0.89 % = 0.26 %	2.19 %
Future5SesAvgClose	0.44 % minus 0.17 % = 0.27 %	13.56 %
Future2SesAvgClose	0.15 % minus 0.08 % = 0.06 %	7.75 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 55 instances
Future30SesAvgClose	0.53 % minus 0.89 % = -0.36 %	-3.08 %
Future5SesAvgClose	0.01 % minus 0.17 % = -0.16 %	-8.15 %
Future2SesAvgClose	-0.13 % minus 0.08 % = -0.22 %	-27.57 %
Sell Signals - 55 instances
Future30SesAvgClose	0.51 % minus 0.89 % = -0.38 %	-3.20 %
Future5SesAvgClose	-0.22 % minus 0.17 % = -0.39 %	-19.90 %
Future2SesAvgClose	-0.30 % minus 0.08 % = -0.39 %	-49.40 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 649 instances
Future30SesAvgClose	0.54 % minus 0.89 % = -0.35 %	-2.93 %
Future5SesAvgClose	0.02 % minus 0.17 % = -0.15 %	-7.87 %
Future2SesAvgClose	0.00 % minus 0.08 % = -0.09 %	-10.89 %
Sell Signals - 648 instances
Future30SesAvgClose	0.62 % minus 0.89 % = -0.27 %	-2.28 %
Future5SesAvgClose	0.14 % minus 0.17 % = -0.03 %	-1.69 %
Future2SesAvgClose	0.08 % minus 0.08 % = 0.00 %	-0.42 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 868 instances
Future30SesAvgClose	1.09 % minus 0.89 % = 0.20 %	1.68 %
Future5SesAvgClose	0.24 % minus 0.17 % = 0.07 %	3.52 %
Future2SesAvgClose	0.13 % minus 0.08 % = 0.04 %	5.24 %
Sell Signals - 868 instances
Future30SesAvgClose	0.95 % minus 0.89 % = 0.06 %	0.50 %
Future5SesAvgClose	0.19 % minus 0.17 % = 0.02 %	1.18 %
Future2SesAvgClose	0.03 % minus 0.08 % = -0.05 %	-6.58 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 352 instances
Future30SesAvgClose	1.42 % minus 0.89 % = 0.53 %	4.47 %
Future5SesAvgClose	0.34 % minus 0.17 % = 0.17 %	8.82 %
Future2SesAvgClose	0.36 % minus 0.08 % = 0.28 %	35.24 %
Sell Signals - 353 instances
Future30SesAvgClose	0.96 % minus 0.89 % = 0.07 %	0.56 %
Future5SesAvgClose	-0.18 % minus 0.17 % = -0.35 %	-17.98 %
Future2SesAvgClose	-0.21 % minus 0.08 % = -0.29 %	-36.97 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 242 instances
Future30SesAvgClose	0.72 % minus 0.89 % = -0.17 %	-1.47 %
Future5SesAvgClose	0.29 % minus 0.17 % = 0.12 %	6.03 %
Future2SesAvgClose	0.29 % minus 0.08 % = 0.21 %	26.25 %
Sell Signals - 243 instances
Future30SesAvgClose	0.77 % minus 0.89 % = -0.12 %	-0.99 %
Future5SesAvgClose	-0.07 % minus 0.17 % = -0.24 %	-12.25 %
Future2SesAvgClose	-0.12 % minus 0.08 % = -0.21 %	-26.14 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 40 instances
Future30SesAvgClose	1.90 % minus 0.89 % = 1.01 %	8.57 %
Future5SesAvgClose	0.26 % minus 0.17 % = 0.09 %	4.61 %
Future2SesAvgClose	0.33 % minus 0.08 % = 0.25 %	31.62 %
Sell Signals - 46 instances
Future30SesAvgClose	2.60 % minus 0.89 % = 1.71 %	14.49 %
Future5SesAvgClose	0.31 % minus 0.17 % = 0.14 %	7.03 %
Future2SesAvgClose	0.07 % minus 0.08 % = -0.02 %	-2.17 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 267 instances
Future30SesAvgClose	0.58 % minus 0.89 % = -0.31 %	-2.59 %
Future5SesAvgClose	0.14 % minus 0.17 % = -0.03 %	-1.66 %
Future2SesAvgClose	-0.01 % minus 0.08 % = -0.09 %	-11.53 %
Sell Signals - 218 instances
Future30SesAvgClose	0.71 % minus 0.89 % = -0.17 %	-1.48 %
Future5SesAvgClose	0.03 % minus 0.17 % = -0.14 %	-6.98 %
Future2SesAvgClose	0.21 % minus 0.08 % = 0.12 %	15.57 %
	.

The best buy signal for 30 future sessions was 1.40 % from the Moving Avg. 20/200 Divergence,and the best sell signal for was -0.38 % from the Moving Avg. 5/200 Divergence.

For 5 future sessions the best buy signal was 0.86 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -0.39 % from the Moving Avg. 5/200 Divergence.

The best buy signal for 2 future sessions was 0.28 % from the Calibrated M by Q Half Cycle Moving Avg.,and the best sell signal was -0.39 % from the Moving Avg. 5/200 Divergence.

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